Which of the following statements about ...

题目

Which of the following statements about stress testing are true? I. Stress testing can complement VaR estimation in helping risk managers identify crucial vulnerabilities in a portfolio. II. Stress testing allows users to include scenarios that did not occur in the lookback horizon of the VaR data but are nonetheless possible. III. A drawback of stress testing is that it is highly subjective. IV. The inclusion of a large number of scenarios helps management better understand the risk exposure of a portfolio.

选项

A.I and II only

B.III and IV only

C.I, II, and III only

D.I, II, III and IV

答案

C

解析

All the statements are correct except IV. Because too many scenarios will make it more difficult to interpret the risk exposure.除IV外，所有陈述均正确无误。 因为太多的场景将使解释风险暴露更加困难。